FRTBs Internal Models Approach (IMA)
The internal models approach, under FRTB, is required for large and small banks who need to maintain competitiveness in any capital markets segment approach The new Basel III framework for market risk, also known as FRTB, represents a pivotal change in the way banks’ trading businesses will be capitalized, regulated, and managed. Join us for this session or the full eleven-part series.
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Virtual Simulated Live Training
Presented By: Sanjay Sharma, PhD, Founder and Chairman & John “Jeb” Beckwith, Managing Director, GreenPoint Global
Simulated Live Date: Wednesday, June 27, 2018
Time: 24-hour interactive on-demand access, 12:00 am-11:59 pm EDT
Session Length: 90-minutes
About This Course
In this course (5 of 11), Sanjay and Jeb analyze the constraints and opportunities provided by FRTB’s internal models approach to regulatory capital attribution. They will cover implementation and testing challenges with sample simulations.
They will also explore how new constraints such as extended Liquidity Horizons, non-modellable risk factors, and sensitivity calibration will impact the proprietary of IMA usage in each regulatory trading desk.
Registration Fee
Sustaining Member $89.00 | Contributing Member $99.00 | Non-Member $109.00
Or, register for the full series, Market Risk Management under Basel III and FRTB
Simulated Live—How it Works
Register: Register to attend this course or the full series (11 sessions).
Attend: Each pre-recorded course will be available for a 24-hour period on the starting date and time, to accommodate your schedule and time zone.
Interact: During the simulated live session, you will have the opportunity to submit questions to Sanjay or Jeb. The instructors will prepare a customized response to you within 72-business hours. Questions must be submitted during the 24-hour open course period.
Recording/Resource Access: Included in your purchase is access the recording for 60 days following the original course date and a PDF of the course handouts.
Who Should Attend
Heads of Trading Businesses, Trading Desk Heads, Market Risk Managers, FRTB Program Managers, Market Risk Auditors, Enterprise Risk Managers, Liquidity Professionals, Regulatory Capital Professionals, Model Validation Professionals, Market Data Professionals, Regulators and Supervisors
About Our Experts
Sanjay Sharma, PhD, is the Founder and Chairman of GreenPoint Global – a risk advisory, technology, education, legal and compliance services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 350 employees and over 40 consultants with a global footprint. During 2007-16, Sanjay was the Chief Risk Officer of Discretionary Capital Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over 25 years during which he has held investment banking, risk management and technology transformation positions at Goldman Sachs, Merrill Lynch, Citibank, Moody’s and Natixis. Sanjay is the author of “Risk Transparency” (Risk Books, 2013) has also published several papers. Sanjay is co-author with Jeb Beckwith of the forthcoming book “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, to be published by RiskBooks, Incisivemedia in spring, 2018.
He is an Adjunct Professor at New York University and Fordham’s quantitative finance programs, and financial markets program at EDHEC in Nice, France. He has served as the Founding Director of the RBC/Hass Fellowship Program at the UC Berkeley, and a member of the Board of Directors of UPS Capital (a Division of UPS). He serves on the Global Board of Directors for Professional Risk International Association (PRMIA). He holds a Ph.D. in Finance from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering.
John “Jeb” Beckwith is Managing Director of GreenPoint’s financial institutions division serving banks and insurers. Jeb brings over 30 years of industry experience in the management of risk, capital markets, lending, and transaction banking practices. Prior to joining GreenPoint, he was Managing Director at RBC Capital Markets for 10+ years. At RBC, Jeb led several front office and risk management groups related to global financial institutions including corporate banking, capital markets cross-sell, regulatory advisory, transaction banking, and trade finance. Jeb founded RBC’s bank regulatory/ratings advisory team and founded/chaired RBC’s committee to adjudicate global limits for all bank and sovereign counterparty risks. Prior to joining RBC, Jeb held various management and corporate banking positions with increasing levels of responsibility at MUFG, Bank of America, and BNY-Mellon.
Jeb is an Adjunct Professor at New York University’s Tandon School and at Fordham University’s school of financial engineering. Jeb has published several papers on banking regulation and is co-author, with Sanjay Sharma, of the forthcoming book: “Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators”, to be published by RiskBooks, Incisivemedia in 2018.
Reference Readings:
• Fundamental Review of Trading Book – A Handbook for Practitioners and Regulators” co-authored by Sanjay Sharma and John Beckwith, 2018, RiskBooks, Incisivemedia
• BCBS d352 + explanatory notes, https://www.bis.org/bcbs/publ/d352.htm
• BCBS Jan 2017 FAQ, https://www.bis.org/bcbs/publ/d395.htm
• BCBS Dec 2017 Basel III standards, https://www.bis.org/bcbs/publ/d424.htm
• BCBS March 2018 FRTB CP and revised FAQ: https://www.bis.org/bcbs/publ/d436.htm
Continuing Risk Learning Credits: 1
PRMIA Continuing Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email [email protected].
If this is your first time accessing the PRMIA website you will need to create short user profile to register.
Questions? Please contact [email protected]
Online registration not available.